Optimal payoffs under smooth ambiguity

DOI10.1016/J.EJOR.2024.08.008MaRDI QIDQ6982450zbMATH OpenFDO

Authors An Chen, Steven Vanduffel, Morten Wilke

Publication date 19 May 2025

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.EJOR.2024.08.008

zbMATH Keywords

financeambiguity aversionmodel ambiguitydrift and volatility uncertaintyKMM preferences

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10) Stochastic programming (90C15)

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Cited in

(3)

• Supplier encroachment with decision biases
• Robust optimal investment and consumption strategies with portfolio constraints and stochastic environment
• Tractable fish growth models considering individual differences with an application to the fish \textit{Plecoglossus altivelis}

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